It is called a sonic boom which is a loud explosive noise caused by the shock wave from an aircraft or other object travelling faster than the speed of sound.
Just imagine running very fast while screaming. You are moving faster than the sound that is coming from your mouth(your running speed is higher than the speed of sound). If you were to run past me, I would first see you then after some time I would then hear your scream. This is what happens when a plane travels with a speed faster than the speed of sound; the sound(sonic) boom will always follow the plane.
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